| StockFetcher Forums · Filter Exchange · Winning Strategy | << 1 ... 5 6 7 8 9 ... 14 >>Post Follow-up |
| levamit 101 posts msg #105633 - Ignore levamit modified |
3/23/2012 3:57:26 PM Guys ,This Filter is The Best!! 3/7 Days. Exit Setup Stop Loss: N/A Profit Stop: N/A Trailing Stop Loss: N/A Minimum Holding Days: 1 Maximum holding days: 3 Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 3 Maximum Open Positions: 5 Maximum Selected Stocks: 3 Close all OPEN positions: Yes Please keep me posted on what you think, LA |
| tombrown1 61 posts msg #105635 - Ignore tombrown1 |
3/23/2012 6:22:31 PM Nice new filter levamit! I like the liquidity additions. Backtests are different from what I was doing, and it's hard to say if they're better or not. Old filter: 11-12: 117% 10-11: 278% 9-10: 1027% 8-9: 62% 7-8: 74% 6-7: 183% 5-6: 386% 4-5: 421% 3-4: 650% 2-3: 1746% New filter: 11-12: 413% 10-11: 208% 9-10: 486% 8-9: 58% 7-8: 268% 6-7: 88% 5-6: 371% 4-5: 941% 3-4: 715% 2-3: 1007% Not sure which numbers are better. New filter has 4 years better than the old filter. But the new filter's most recent year is far superior. Hmmm... They way I trade is with 3 max trades open and only 2 max trades entered per day. Obviously it's a winning strategy and the more money you put in per trade the better off you are. I found in backtesting that 3 max trades open was a good balance between making a lot money and reducing risk. I did find more $$$ with a 7-day hold along with the RSI(2) > 55. Levamit likes 3 days. This is an interesting choice to make. The longer you hold the more risk you incur. For example, in 2008-2009 the market was in a big-time crash and putting in a 20-day hold along with the RSI made you lose a lot of money. This is because you were hanging on to stocks that were on a nosedive. So in a bull market you want to hold longer to let the RSI do its work, but in a down market you want a much shorter hold. I found 7 days to be a nice middle ground - just bear in mind that in a severe bear market you will probably see some serious drawdowns with a 7-day hold. The 7-day hold "only" returned 62% that year - so that's a good enough margin of safety for me. But do bear in mind that the 20-day hold would have lost you somewhere around 40% that year. Levamit, you are correct that the 1-day minimum hold fixes the profit stop problem. Not putting that 1-day minimum hold is one of several ways for people to generate outlandish backtest results that wouldn't exist in reality. Bob, don't check the filter during the day. After the market closes check your filter and send out some trades to execute for the following morning. Best, TB |
| tennisplayer2 210 posts msg #105638 - Ignore tennisplayer2 |
3/24/2012 12:01:39 AM Tom, thanks. |
| Dylan 43 posts msg #105641 - Ignore Dylan |
3/24/2012 2:10:30 AM Tom I get totally different % returns in my backtesting from yours shown in your last post. Can you please post your exact parameters so I can duplicate your numbers? Thanks in advance. - Dylan |
| tombrown1 61 posts msg #105642 - Ignore tombrown1 |
3/24/2012 9:12:37 AM Dylan, I'm using the equity summary for my results. That may be the problem. TB |
| th3moneytrain 10 posts msg #105650 - Ignore th3moneytrain |
3/25/2012 12:34:57 AM Hello Tom and Levamit In regards to your response, "They way I trade is with 3 max trades open and only 2 max trades entered per day. ..... I did find more $$$ with a 7-day hold along with the RSI(2) > 55...... Levamit, you are correct that the 1-day minimum hold fixes the profit stop problem. Not putting that 1-day minimum hold is one of several ways for people to generate outlandish backtest results that wouldn't exist in reality. .... Bob, don't check the filter during the day. After the market closes check your filter and send out some trades to execute for the following morning." I'd like to clarify a few things: 1) Trades should be held no less or more than 3/7 day unless RSI(2) > 55. i.e. even if the stock is trending up after 3/7 days, one should still sell it? 2) Trades should be placed (bought and sold) at open? 3) What if the filter pulls more than 3 trades, how should one choose which three to trade? Is it arbitrary chosen? 4) 3 max trades open. I assume the 3 trades shall be equally weighted? With only one trade available for Monday, one shall only put about 1/3 of investment to save reserves for 2 other trades in the future? Thanks, TMT |
| levamit 101 posts msg #105653 - Ignore levamit |
3/25/2012 5:30:10 AM Hello TMT, You should stick to the rules and act as following : 1-Trades should be held no less or more than 3/7 day or unless RSI(2) > 55. i.e. even if the stock is trending up after 3/7 days put Sell at open (IB command Sell OPG) . 2-Run the filter 30 minute after the market is closed and entry to trade on the next day with (IB command buy at OPG) price at open. 3-If the filter pulls more than 3 trades You choose the first two ,meaning if you want to holding Max 3 open position you need to choose only 2 on the first day and make new filter scan on the close to choose another one for tomorrow at open) The filter select by volume descending. 4-3 max trades open. meaning take 2 from the first scan (Yesterday) and take another one from (today) scan selected by volume descending default filter scan. Advanced Options Selection Method: select by volume descending Entry Price: open Conditional Entry: No Exit Price: open Maximum Trades Per Day: 2 Maximum Open Positions: 3 Maximum Selected Stocks: 2 Close all OPEN positions: Yes Regards, Levamit |
| th3moneytrain 10 posts msg #105657 - Ignore th3moneytrain modified |
3/25/2012 2:26:02 PM Thank you for clarifying. I will def. give this a shot starting Monday. I'm not on IB so I will manually buy and sell for the time being. Another question: If RSI (2) > 55 happens intraday, should we sell intraday or the open on next day? |
| tombrown1 61 posts msg #105658 - Ignore tombrown1 |
3/25/2012 3:19:41 PM I tested the system using no intraday data, so I don't know what will happen if you do intraday. As far as the stock trending up when you hit a 3 or 7 day exit - I don't have the patience to test for that manually, so play around with it if you want. But the if the stock is trending up then it will likely have hit the rsi(2) 55 mark. TB |
| saico 59 posts msg #105671 - Ignore saico |
3/26/2012 9:42:44 AM But guys, are you really going to apply serious money to a strategy, that has a draw down expectation for single postions like that? Also dont forget the impact of commissions to the overall performance, when you trade single digit stocks. I really dont want to spoil the party just make some critical points that came to my mind when i checked things out. saico |
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